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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorKrätschmer, Volkeren_US
dc.contributor.authorMoro, Rouslan A.en_US
dc.date.accessioned2009-03-19en_US
dc.date.accessioned2009-07-23T15:15:19Z-
dc.date.available2009-07-23T15:15:19Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/25326-
dc.description.abstractSupported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets. Alternatively, we want to emphasize a microeconomic view. Based on an economic model with state dependent utilities for the financial investors we succeed in explaining the paradox by changes of the risk attitudes. Theoretically, the change behaviour is compressed by the pricing kernels. As a starting point for empirical insights we shall develop and investigate inverse problems in terms of data fits for estimated basic values of the pricing kernel.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2009,010en_US
dc.subject.jelD01en_US
dc.subject.jelD58en_US
dc.subject.jelC02en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordPricing kernelen_US
dc.subject.keywordrepresentative agenten_US
dc.subject.keywordempirical pricing kernelen_US
dc.subject.keywordepk paradoxen_US
dc.subject.keywordstate dependent utilitiesen_US
dc.subject.keywordswitching pointsen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwRisikopräferenzen_US
dc.subject.stwErwartungsnutzenen_US
dc.subject.stwTheorieen_US
dc.titleA microeconomic explanation of the EPK paradoxen_US
dc.typeWorking Paperen_US
dc.identifier.ppn594005973en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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